`finpricing.model.cds_analytics`#

Module Contents#

Functions#

`cds_market_spread`(discount_curve, survival_curve, ...)	Calculate CDS market spread
`cds_market_spreads`(discount_curve, survival_curve, ...)	Calculate CDS market spreads for a list of expiries

finpricing.model.cds_analytics.cds_market_spread(discount_curve, survival_curve, recovery_rate: float, expiry: datetime.date | finpricing.utils.Date, cds_style: finpricing.utils.CDSStyle | str = 'CORP_NA', granularity: int = 14)[source]#

Calculate CDS market spread

NOTE this returns the par spread of a temporary CDS contract and priced by the given discount curve and survival curve

finpricing.model.cds_analytics.cds_market_spreads(discount_curve, survival_curve, recovery_rate: float, expiries: List[datetime.date | finpricing.utils.Date], **kwargs)[source]#: Calculate CDS market spreads for a list of expiries